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MOCT-MOST: Economic Policy in Transitional Economies - 相似文献
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Dragan Đorić Emilija Nikolić-Đorić Vesna Jevremović Jovan Mališić 《Quality and Quantity》2009,43(3):481-493
The paper considers some properties of measures of asymmetry and peakedness of one dimensional distributions. It points to
some misconceptions of the first and the second Pearson coefficients, the measures of asymetry and shape, that frequently
occur in introductory textbooks. Also it presents different ways for obtaining the estimated values for the coefficients of
skewness and kurtosis and statistical tests which include them. 相似文献
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The paper examines the influence of the structural breaks on the optimal weights, hedge ratios and hedge effectiveness index (HEI) of risk‐minimizing portfolios composed of S&P500 and selected emerging markets’ indices from East Europe, Asia and South America. We employ a bivariate DCC‐EGARCH models without and with structural breaks and we find better estimation features when structural breaks are included in the model. However, we do not find evidence that insertion of structural breaks increases portfolio hedging performances. The differences that exist between optimal weights, hedge ratios and HEI values are so small that tangible economic benefit for international investors do not exist. 相似文献
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The objective of the paper is to determine whether the linkage between stock returns and exchange rates in several Eastern European countries was in accordance with the flow oriented model or the portfolio‐balance approach. The dynamic interdependence between exchange rate and stock returns is determined using the Dynamic Conditional Correlation (DCC) framework. The results pointed to a negative dynamic correlation which is in line with portfolio‐balance approach. Rolling regression revealed that conditional correlation was affected primarily by conditional volatility of currency, while the impact of stock returns volatility was negligible. 相似文献
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We create an industrial organization type model to relate resources to the spread between product market demand and marginal cost. We define competitive advantage as the cross‐sectional differential in this spread, and performance as the longitudinal differential between what a firm appropriates in the product market and what it paid in the factor market. With factor markets imposing different costs on the innovator and potential imitator(s), competitive advantage, performance, and high resource value do not necessarily coincide. Also, the interaction between resource value and the cost of imitation is complex and affected by the number of firms in the industry. Copyright © 2009 John Wiley & Sons, Ltd. 相似文献
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